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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS/CDO Daily CMBS Weekly CMBS

Weekly CMBS data from 09/30/2024 to 10/04/2024

Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2019 2019 2020 2021 2022 2023 2024 PRE-2019 2019 2020 2021 2022 2023 2024
AVERAGE PRICE 96.4 96.5 89.8 84.7 81.2 97.8 98.1 8.1 * 5.5 * 2.1 * 2.7
Weighted Avg. Price 97.2 96.5 93.2 88.0 83.3 95.4 97.8 4.8 * 5.0 * 2.1 * 2.2
Avg. Price Bottom 5 Trades 76.1 88.8 79.6 71.7 59.6 82.7 86.3 0.3 * 3.4 * 2.1 * 2.3
2nd Quartile Price 96.9 95.5 86.2 75.9 74.2 96.4 96.1 0.3 * 4.3 * * * 2.6
3rd Quartile Price 98.4 97.7 89.9 87.3 84.7 102.2 100.2 1.4 * 4.8 * * * 3.2
4th Quartile Price 99.1 98.9 91.5 93.8 89.5 103.1 101.9 1.6 * 7.0 * * * 3.6
Avg. Price Top 5 Trades 100.9 100.3 100.6 97.4 93.9 104.7 105.5 25.1 * 7.6 * 2.1 * 3.2
Standard Deviation 5.2 3.7 6.5 10.3 10.5 7.9 5.9 21.9 * 4.1 * 0.2 * 1.0
VOLUME OF TRADES (000'S) 706,729.1 113,903.5 260,874.5 18,437.7 234,474.4 77,167.4 373,885.1 3,263,271.3 * 223,191.2 * 526,963.2 * 634,581.2
Customer Buy 326,229.7 71,007.1 181,383.3 16,886.5 105,598.6 50,293.3 212,067.1 1,629,896.6 * 141,036.0 * * * *
Customer Sell 328,749.0 32,173.0 53,002.8 * 33,413.7 18,928.0 * 1,633,374.6 * * * * * *
Dealer to Dealer 51,750.4 10,723.5 26,488.4 * 95,462.2 * 92,761.9 0.0 0.0 0.0 0.0 0.0 0.0 *
<= $1MM 35,390.5 7,465.8 3,186.6 4,207.0 10,296.5 7,849.0 13,029.3 * 0.0 0.0 0.0 0.0 0.0 0.0
<= $10MM 253,526.5 64,721.4 53,211.2 14,230.7 90,048.2 54,318.4 110,076.0 * * * * 0.0 * 0.0
> $10MM 417,812.1 * 204,476.7 0.0 134,129.7 * 250,779.9 3,256,000.2 * 212,596.5 * 526,963.2 * 634,581.2
NUMBER OF TRADES 212 39 44 20 49 29 57 20 * 9 * 5 * 7
Customer Buy 91 20 16 14 24 15 38 9 * 5 * * * *
Customer Sell 82 11 18 * 7 13 * 11 * * * * * *
Dealer to Dealer 39 8 10 * 18 * 15 0 0 0 0 0 0 *
<= $1MM 114 19 25 14 17 19 20 * 0 0 0 0 0 0
<= $10MM 80 17 14 6 27 9 25 * * * * 0 * 0
> $10MM 18 * 5 0 5 * 12 16 * 7 * 5 * 7

Pricing Table: CMBS Conduit AAA LCF (P&I) by Deal Vintage
METRIC CONDUIT AAA LCF (P&I)
PRE-2019 2019 2020 2021 2022 2023 2024
AVERAGE PRICE 98.0 93.5 * 86.7 97.1 107.7 106.9
Weighted Avg. Price 98.2 94.4 * 86.8 96.7 107.5 108.0
Avg. Price Bottom 5 Trades 92.9 91.1 * 86.2 91.8 103.5 105.1
2nd Quartile Price 97.4 91.8 * 86.4 93.6 106.4 105.7
3rd Quartile Price 98.7 93.8 * 86.8 99.0 107.6 108.1
4th Quartile Price 99.0 98.0 * 87.5 99.8 109.1 108.7
Avg. Price Top 5 Trades 99.7 95.9 * 87.2 101.3 112.6 108.6
Standard Deviation 1.6 2.8 * 0.7 4.4 3.2 1.9
VOLUME OF TRADES (000'S) 212,275.8 46,662.1 * 52,223.0 55,799.9 84,188.0 62,334.0
Customer Buy 96,012.6 44,652.1 * * 25,829.0 30,995.0 50,824.0
Customer Sell 104,217.5 * * * 29,670.9 49,133.0 *
Dealer to Dealer 12,045.7 0.0 0.0 * * * 0.0
<= $1MM 27,885.9 * * * 3,420.0 2,580.0 1,685.0
<= $10MM 159,675.8 14,212.1 * 40,328.0 52,379.9 81,608.0 *
> $10MM * * 0.0 * 0.0 0.0 *
NUMBER OF TRADES 106 11 * 10 17 28 11
Customer Buy 44 9 * * 8 11 9
Customer Sell 46 * * * 7 13 *
Dealer to Dealer 16 0 0 * * * 0
<= $1MM 64 * * * 7 6 6
<= $10MM 40 6 * 7 10 22 *
> $10MM * * 0 * 0 0 *

Pricing Table: CMBS Conduit by Deal Vintage
METRIC CONDUIT AAA (P&I) CONDUIT AAA (IO/PO) CONDUIT IG (P&I) CONDUIT IG (IO/PO) CONDUIT HY (P&I) CONDUIT HY (IO/PO)
PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 97.9 89.6 105.0 1.0 * 101.6 90.2 78.1 94.4 * 0.0 87.6 77.6 47.6 99.9 0.0 5.4 68.7
Weighted Avg. Price 97.7 90.1 105.1 1.6 * 101.7 90.3 74.7 95.8 * 0.0 69.4 79.9 47.7 100.9 0.0 5.3 21.0
Avg. Price Bottom 5 Trades 94.9 81.7 95.3 0.0 * 101.4 63.2 51.5 79.6 * 0.0 84.5 18.3 47.6 96.2 0.0 5.4 30.3
2nd Quartile Price 97.0 86.5 104.1 0.1 * 101.9 88.3 71.8 83.8 * 0.0 102.0 79.5 * 100.1 0.0 * 7.9
3rd Quartile Price 98.3 90.1 105.4 0.3 * 102.6 93.2 82.0 102.4 * 0.0 102.8 84.3 * 102.1 0.0 * 102.9
4th Quartile Price 98.9 94.1 107.1 2.3 * 102.9 95.8 88.5 103.8 * 0.0 103.1 91.1 * 102.9 0.0 * 102.9
Avg. Price Top 5 Trades 99.4 96.6 111.1 2.6 * 102.0 99.0 91.7 104.8 * 0.0 102.5 95.7 47.6 102.8 0.0 5.4 102.9
Standard Deviation 1.3 4.8 4.3 1.1 * 1.2 9.1 12.8 11.1 * 0.0 36.5 22.7 2.5 5.6 0.0 0.5 47.3
VOLUME OF TRADES (000'S) 207,621.0 166,772.1 216,662.3 830,398.9 * 22,307.0 236,377.1 89,815.4 58,634.0 * 0.0 16,671.0 159,301.4 14,600.0 45,650.7 0.0 145,974.0 124,725.0
Customer Buy 119,547.5 87,002.3 140,138.7 332,347.1 * * 112,983.3 27,742.4 28,480.0 * 0.0 * 72,103.0 * 26,941.7 0.0 * 69,158.0
Customer Sell 83,992.0 76,093.8 76,523.6 498,051.9 0.0 * 112,835.5 58,374.1 30,154.0 * 0.0 * 84,979.4 * 18,709.0 0.0 * 55,567.0
Dealer to Dealer 4,081.5 3,676.0 0.0 0.0 * 0.0 10,558.4 * 0.0 0.0 0.0 0.0 2,219.0 0.0 0.0 0.0 0.0 0.0
<= $1MM 18,407.9 10,126.3 7,457.9 0.0 0.0 * 19,090.5 3,577.0 2,748.0 0.0 0.0 * 3,319.0 0.0 * 0.0 0.0 *
<= $10MM 108,542.9 105,737.0 145,225.4 45,796.2 * * 205,338.7 86,238.4 55,886.0 * 0.0 16,626.0 120,304.0 14,600.0 43,590.7 0.0 0.0 17,489.0
> $10MM 80,670.2 * * 784,602.7 * 0.0 * 0.0 0.0 * 0.0 0.0 * 0.0 0.0 0.0 145,974.0 105,916.0
NUMBER OF TRADES 86 49 52 20 * 6 89 40 20 * 0 6 53 5 12 0 8 17
Customer Buy 52 22 35 8 * * 38 20 9 * 0 * 24 * 7 0 * 11
Customer Sell 26 20 17 12 0 * 40 18 11 * 0 * 24 * 5 0 * 6
Dealer to Dealer 8 7 0 0 * 0 11 * 0 0 0 0 5 0 0 0 0 0
<= $1MM 54 19 18 0 0 * 36 14 6 0 0 * 20 0 * 0 0 *
<= $10MM 26 26 30 11 * * 52 26 14 * 0 5 31 5 9 0 0 8
> $10MM 6 * * 9 * 0 * 0 0 * 0 0 * 0 0 0 8 6

Pricing Table: CMBS Other by Deal Vintage
METRIC OTHER CMBS AAA LCF (P&I) OTHER CMBS AAA (P&I) OTHER CMBS AAA (IO/PO) OTHER CMBS IG (P&I) OTHER CMBS IG (IO/PO) OTHER CMBS HY (P&I) OTHER CMBS HY (IO/PO)
PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE * 0.0 0.0 97.5 95.7 100.0 0.0 0.0 0.0 91.0 94.2 99.7 0.0 0.0 0.0 79.9 86.4 99.9 * 0.0 0.0
Weighted Avg. Price * 0.0 0.0 96.8 96.3 100.1 0.0 0.0 0.0 89.6 93.7 97.7 0.0 0.0 0.0 84.7 90.3 100.3 * 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 95.7 85.6 94.9 0.0 0.0 0.0 79.3 70.1 91.7 0.0 0.0 0.0 43.3 29.0 91.4 * 0.0 0.0
2nd Quartile Price * 0.0 0.0 96.3 92.9 99.8 0.0 0.0 0.0 87.0 94.0 99.4 0.0 0.0 0.0 75.5 81.9 99.8 * 0.0 0.0
3rd Quartile Price * 0.0 0.0 98.2 96.9 100.1 0.0 0.0 0.0 94.5 95.6 100.0 0.0 0.0 0.0 91.5 94.5 100.1 * 0.0 0.0
4th Quartile Price * 0.0 0.0 98.5 99.3 100.4 0.0 0.0 0.0 95.6 99.1 101.5 0.0 0.0 0.0 96.5 98.9 100.4 * 0.0 0.0
Avg. Price Top 5 Trades * 0.0 0.0 99.4 99.9 104.6 0.0 0.0 0.0 97.9 99.9 103.8 0.0 0.0 0.0 98.5 99.6 107.0 * 0.0 0.0
Standard Deviation * 0.0 0.0 1.6 4.2 1.7 0.0 0.0 0.0 6.8 7.7 3.1 0.0 0.0 0.0 21.6 20.4 3.5 * 0.0 0.0
VOLUME OF TRADES (000'S) * 0.0 0.0 54,755.3 299,819.2 334,951.4 0.0 0.0 0.0 108,826.5 219,965.5 148,582.6 0.0 0.0 0.0 164,448.3 485,277.0 228,762.8 * 0.0 0.0
Customer Buy * 0.0 0.0 31,565.2 132,847.2 192,558.9 0.0 0.0 0.0 54,788.8 104,950.6 84,579.7 0.0 0.0 0.0 80,154.1 197,850.5 92,080.8 * 0.0 0.0
Customer Sell * 0.0 0.0 22,690.2 123,236.6 92,912.5 0.0 0.0 0.0 45,137.7 102,455.0 55,002.9 0.0 0.0 0.0 74,274.1 210,544.5 121,682.0 * 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 * 43,735.5 49,480.0 0.0 0.0 0.0 * 12,560.0 * 0.0 0.0 0.0 * * * 0.0 0.0 0.0
<= $1MM * 0.0 0.0 4,819.9 24,693.6 36,877.5 0.0 0.0 0.0 4,175.0 13,390.1 11,786.6 0.0 0.0 0.0 3,480.3 9,420.0 11,295.0 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 37,279.9 243,844.9 160,941.4 0.0 0.0 0.0 104,651.5 206,575.4 91,226.0 0.0 0.0 0.0 105,798.0 124,901.0 187,337.8 0.0 0.0 0.0
> $10MM 0.0 0.0 0.0 * * 137,132.5 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 * 350,956.0 * * 0.0 0.0
NUMBER OF TRADES * 0 0 20 114 132 0 0 0 41 89 63 0 0 0 30 60 68 * 0 0
Customer Buy * 0 0 12 50 67 0 0 0 21 40 36 0 0 0 14 29 29 * 0 0
Customer Sell * 0 0 6 52 53 0 0 0 18 41 25 0 0 0 14 28 37 * 0 0
Dealer to Dealer 0 0 0 * 12 12 0 0 0 * 8 * 0 0 0 * * * 0 0 0
<= $1MM * 0 0 10 53 81 0 0 0 9 28 32 0 0 0 7 15 19 0 0 0
<= $10MM 0 0 0 9 59 42 0 0 0 32 61 29 0 0 0 20 31 47 0 0 0
> $10MM 0 0 0 * * 9 0 0 0 0 0 * 0 0 0 * 14 * * 0 0

* Indicates trade count is less than 5
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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